Key Features in this Release:
This week’s release features the relaunch of the 3-Year T-Note future with complete support of the “3Y” contract in the RiskVal suite. Key sheets include: USD 2+ Trsy RVS graph, USD Bond, Sprd/Bfly, Invoice Spread, Future Calendar Roll, Future CTD Scenario and Future Net Basis Forecast
Enhanced the Horizontal Analysis calculation for futures which will capture the carry profile with “Future Carry + Roll based on CTD” flag enabled
Allow traders to select the line items by “Strategy” to calculate the PnL from the “Blotter Manager”
Enhanced Cap/Floor pricing such that traders can now define the volatility spread between the base fixing index and other fixing indexes Cap/Floor
Updated the “Color Management” to include “Coupon High/Low” customization to apply color by coupon range
User can enter the MYY of the maturity of the bond, the bond with the lowest coupon and that maturity will be populated
Minor Fixes & Enhancements:
NZD Bond: Added Central Bank Holding %, Central Bank Holding Size, and Float Size in Billions (Issue Sz B – CB Hold Sz B)
Future CTD: Added Wildcard historical data for the CAD Futures
TIPS:
Enhanced the “Trsy Bond” such that RiskVal finds the matched treasury bond that corresponds with the issue date of the TIPS bond
Allow traders right-click from the “Trsy Bond” cell to reset to default
Forward Swap Matrix: auto save strategy order if users use the ctrl key + up/down arrows